Toyota Motor Credit is preparing to issue a mix of fixed and floating notes through the Toyota Auto Receivables 2023-C Owner Trust in a deal slated to close within the week.
A slate of managers is preparing to bring the deal to market, including BMO Capital Markets BNP Paribas, Société Générale and TD Securities, according to Asset Securitization Report's deal database. Most of the notes will be priced to the three-month interpolated yield, with the exception of the A2-B tranche, which will be priced to the Secured Overnight Financing Rate (SOFR), the database said.
Pricing guidance ranges from 20 basis points over the three-month I-Curve on the most senior A-1 notes to 83 to 85 basis points over the A-4 notes, according to the database.
Prime auto loan receivables comprises the collateral pool, which will have about 7.6% credit support—namely hard credit enhancement and excess spread—for all of the class A notes, based on stressed cash flow scenarios, according to ratings analysts from S&P Global Ratings. The rating agency says the levels provide more than its 4.00% minimum credit enhancement level for 'AAA' ratings, the rating agency said.
S&P says it has an expected cumulative net loss of 0.60% for the deal, known as TAOT 2023-C, which is unchanged from the series 2023-A, the last deal that S&P rated.
There were a couple of structural changes from the previously rated deal, however. The required yield supplement overcollateralization (YSOA) is 9.65%, up from 9.30% in YSOA on the TAOT 2023-A.
S&P expects to assign ratings of 'A-1+' to the A-1 notes; and 'AAA' to the A-2a through A-4 notes. Fitch Ratings, similarly, expects to assign 'F1+' notes to the A-1 notes; and 'AAA' to the A-2a through A-4 notes.
